AN ANALYSIS OF POISSON MOVING-AVERAGE PROCESSES

Authors
MCCORMICK WP PARK YS
Citation
Wp. Mccormick et Ys. Park, AN ANALYSIS OF POISSON MOVING-AVERAGE PROCESSES, Probability in the engineering and informational sciences, 11(4), 1997, pp. 487-507
Citations number
10
Categorie Soggetti
Operatione Research & Management Science","Engineering, Industrial","Statistic & Probability","Operatione Research & Management Science
Journal title
Probability in the engineering and informational sciences → ACNP
ISSN journal
02699648
Volume
11
Issue
4
Year of publication
1997
Pages
487 - 507
Database
ISI
SICI code
0269-9648(1997)11:4<487:AAOPMP>2.0.ZU;2-6
Abstract
Al-Osh and Alzaid (1988, Statistical Papers 29: 281-300) introduced a class of Poisson moving-average processes. In this paper, we analyze c ertain properties of such models. In particular, we show that the mode l has the property of time reversibility. Regression properties of the model are also given. Furthermore, we determine the asymptotic limit distribution for the sample autocovariance function and establish the asymptotic validity of a bootstrap approximation.